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The Causal Relationship between the S&P 500 and the VIX Index : Critical Analysis of Financial Market Volatility and Its Predictability
Auinger, Florian - 2015
Risk and Emotions -- Financial Market Volatility -- Behavioural Finance -- VIX Index. … future development of financial market volatility. Furthermore, it is proven that there is no statistically significant …. Obviously, there must be at least one additional variable that has a strong influence on market volatility such as emotions …
Persistent link: https://www.econbiz.de/10012819102
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Food Price Volatility and Its Implications for Food Security and Policy
Kalkuhl, Matthias (ed.); Braun, Joachim von (ed.);  … - 2016
price volatility. It also discusses the implications for food security and policy responses to mitigate excessive volatility … dealing with extreme volatility. …
Persistent link: https://www.econbiz.de/10011685744
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Financial Risk Management with Bayesian Estimation of GARCH Models : Theory and Applications
Ardia, David (contributor) - 2008
This book presents methodologies for the Bayesian estimation of GARCH models and their application to financial risk management. The study of these models from a Bayesian viewpoint is relatively recent and can be considered very promising due to the advantages of the Bayesian approach, in...
Persistent link: https://www.econbiz.de/10013520959
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Artificial Market Experiments with the U-Mart System
Shiozawa, Yoshinori - 2008
Persistent link: https://www.econbiz.de/10013521078
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Modeling Financial Time Series with S-Plus®
Zivot, Eric - 2003
The field of financial econometrics has exploded over the last decade. This book represents an integration of theory, methods, and examples using the S-PLUS statistical modeling language and the S+FinMetrics module to facilitate the practice of financial econometrics. This is the first book to...
Persistent link: https://www.econbiz.de/10013523086
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Macroeconomic Volatility, Institutions and Financial Architectures : The Developing World Experience
Fanelli, José María (ed.) - 2008
associated with financial turmoil and macro volatility. The book analyzes the experiences of several countries, drawing …
Persistent link: https://www.econbiz.de/10012054183
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Econometrics of Financial High-Frequency Data
Hautsch, Nikolaus - 2012
Error Models -- 8 Modelling High-Frequency Volatility -- 9 Estimating Market Liquidity -- 10 Semiparametric Dynamic … order placement as well as high-frequency volatility. This book provides a state-of-the art overview on the major approaches … settings and presents applications to volatility and liquidity estimation, order book modelling and market microstructure …
Persistent link: https://www.econbiz.de/10014015549
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Bubbles and Contagion in Financial Markets, Volume 2 : Models and Mathematics
Porras, Eva R. - 2017
This book focuses on extending the models and theories (from a mathematical/statistical point of view) which were introduced in the first volume to a more technical level. Where volume I provided an introduction to the mathematics of bubbles and contagion, volume II digs far more deeply and...
Persistent link: https://www.econbiz.de/10014019830
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Modeling and Valuation of Energy Structures : Analytics, Econometrics, and Numerics
Mahoney, Daniel - 2016
Commodity markets present several challenges for quantitative modeling. These include high volatilities, small sample data sets, and physical, operational complexity. In addition, the set of traded products in commodity markets is more limited than in financial or equity markets, making value...
Persistent link: https://www.econbiz.de/10014306581
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Contemporary Trends and Challenges in Finance : Proceedings from the 3rd Wroclaw International Conference in Finance
Jajuga, Krzysztof (ed.); Locarek-Junge, Hermann (ed.);  … - Wrocław International Conference in Finance <3., 2017, … - 2018
Part I: Econometrics of Financial Markets -- Information Asymmetry, Liquidity and the Dynamic Volume-Return Relation in Panel Data Analysis -- Density forecasts of emerging markets’ exchange rates using Monte Carlo simulation with regime switching -- Determination of the own funds requirements...
Persistent link: https://www.econbiz.de/10013256187